Why don't I see anything except the skydome when I click "Clean all and play all" after I save and build the terrain ? and how do I move inside the scene ?
Can I just create my terrain in blender and import it to the editor like I do with objects ?

When you use 3DS MAX, there are possibilities of creating heightmaps in there too. And yes, you can also export terrain (some artists even prefer it for very specific things, like underground dungeons, whereas other model the entire terrain in pieces).

For your first question, does that happen in the editor, or in a build exe?

It happens in the editor in game mode.
So, how can I import the terrain to the editor?

Just export it as a normal model, like you would normally with static assets. And place the terrain as a model in the game.